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Folia Oeconomica Stetinensia

The Journal of University of Szczecin

2 Issues per year

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Online
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1898-0198
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Goodness of Fit Measures of Models with Binary Dependent Variable which Take into Account Heteroskedasticity of a Random Element

Prof. Jan Purczyński
  • West Pomeranian University of Technology Department of Signal Processing and Multimedia Engineering 26. Kwietnia 10, 71-126 Szczecin, Poland
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/ Kamila Bednarz-Okrzyńska
  • Ph.D. University of Szczecin Faculty of Management and Economics of Services Department of Quantitative Methods Cukrowa 8, 71-004 Szczecin, Poland
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Published Online: 2018-07-04 | DOI: https://doi.org/10.2478/foli-2018-0014

Abstract

The paper tackles a problem which arises during the analysis of binary models, and which is the heteroskedasticity of a random element manifested by the variable value of variance. In the paper, the following probability models, used in the analysis of a dichotomic variable, were considered: a logit model, probit model, and raybit model, which is a model proposed by the authors. The following measures of goodness of fit, present in the field literature, were considered: MSE, MAE, WMSE, and WMAE. A new measure of goodness of fit of a model was proposed, which limits the amplitude of varying values of variance.

Keywords : qualitative econometric models; logit model; probit model

References

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About the article

Received: 2017-10-30

Accepted: 2018-03-30

Published Online: 2018-07-04

Published in Print: 2018-06-01


Citation Information: Folia Oeconomica Stetinensia, Volume 18, Issue 1, Pages 182–194, ISSN (Online) 1898-0198, DOI: https://doi.org/10.2478/foli-2018-0014.

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© 2018 Jan Purczyński, published by Sciendo. This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License. BY-NC-ND 4.0

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